LU%20Decomposition

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LU Decomposition

• Major All Engineering Majors
• Authors Autar Kaw
• http//numericalmethods.eng.usf.edu
• Transforming Numerical Methods Education for STEM
  Undergraduates

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LU Decomposition http//numericalmethods.e
ng.usf.edu
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LU Decomposition
LU Decomposition is another method to solve a set
of simultaneous linear equations Which is
better, Gauss Elimination or LU
Decomposition? To answer this, a closer look at
LU decomposition is needed.
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LU Decomposition
Method For most non-singular matrix A that one
could conduct Naïve Gauss Elimination forward
elimination steps, one can always write it as A
LU where L lower triangular
matrix U upper triangular matrix
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How does LU Decomposition work?
If solving a set of linear equations If A
LU then Multiply by Which gives Remember
L-1L I which leads to Now, if IU
U then Now, let Which ends with and AX
C LUX C L-1 L-1LUX
L-1C IUX L-1C UX
L-1C L-1CZ LZ C (1) UX
Z (2)
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LU Decomposition
How can this be used?

• Given AX C
• Decompose A into L and U
• Solve LZ C for Z
• Solve UX Z for X

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Is LU Decomposition better than Gaussian
Elimination?

• Solve AX B

T clock cycle time and nxn size of the matrix
Forward Elimination
Decomposition to LU
Back Substitution
Forward Substitution
Back Substitution
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Is LU Decomposition better than Gaussian
Elimination?

• To solve AX B
• Time taken by methods
• T clock cycle time and nxn size of the matrix
• So both methods are equally efficient.

Gaussian Elimination LU Decomposition

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To find inverse of A
Time taken by Gaussian Elimination Time taken by
LU Decomposition
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To find inverse of A
Time taken by Gaussian Elimination Time taken by
LU Decomposition
Table 1 Comparing computational times of finding
inverse of a matrix using LU decomposition and
Gaussian elimination.
n 10 100 1000 10000
CTinverse GE / CTinverse LU 3.288 25.84 250.8 2501
For large n, CTinverse GE / CTinverse LU n/4
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Method A Decomposes to L and U
U is the same as the coefficient matrix at the
end of the forward elimination step. L is
obtained using the multipliers that were used in
the forward elimination process
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Finding the U matrix
Using the Forward Elimination Procedure of Gauss
Elimination
Step 1
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Finding the U Matrix
Matrix after Step 1
Step 2
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Finding the L matrix
Using the multipliers used during the Forward
Elimination Procedure
From the first step of forward elimination
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Finding the L Matrix
From the second step of forward elimination
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Does LU A?
?
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Using LU Decomposition to solve SLEs
Solve the following set of linear equations using
LU Decomposition
Using the procedure for finding the L and U
matrices
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Example
Set LZ C Solve for Z
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Example
Complete the forward substitution to solve for Z
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Example
Set UX Z Solve for X The 3
equations become
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Example
Substituting in a3 and using the second equation
From the 3rd equation
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Example
Substituting in a3 and a2 using the first equation
Hence the Solution Vector is
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Finding the inverse of a square matrix
The inverse B of a square matrix A is defined
as AB I BA
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Finding the inverse of a square matrix
How can LU Decomposition be used to find the
inverse? Assume the first column of B to be
b11 b12 bn1T Using this and the definition
of matrix multiplication First column of
B Second column of B
The remaining columns in B can be found in the
same manner
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Example Inverse of a Matrix
Find the inverse of a square matrix A
Using the decomposition procedure, the L and
U matrices are found to be
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Example Inverse of a Matrix

• Solving for the each column of B requires two
  steps
• Solve L Z C for Z
• Solve U X Z for X

Step 1
This generates the equations
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Example Inverse of a Matrix
Solving for Z

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Example Inverse of a Matrix
Solving UX Z for X


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Example Inverse of a Matrix
Using Backward Substitution
So the first column of the inverse of A is


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Example Inverse of a Matrix
Repeating for the second and third columns of the
inverse Second Column Third Column


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Example Inverse of a Matrix
The inverse of A is


To check your work do the following
operation AA-1 I A-1A
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Additional Resources

• For all resources on this topic such as digital
  audiovisual lectures, primers, textbook chapters,
  multiple-choice tests, worksheets in MATLAB,
  MATHEMATICA, MathCad and MAPLE, blogs, related
  physical problems, please visit
• http//numericalmethods.eng.usf.edu/topics/lu_deco
  mposition.html

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